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Range play targets Time Warner Cable

Chris McKhann (chris.mckhann@optionmonster.com)

Time Warner Cable is slipping today, but one large trader is apparently combining stock and options in a bet that shares will remain range-bound.

optionMONSTER systems show that 6,250 February 90 puts were sold in a single print for $0.60 a wide bid/ask spread of $0.60 to $0.75. The volume dwarfed the strike's open interest of just 28 contracts at the beginning of the day, so this is clearly a new position.

A minute later 93,750 TWC shares traded for $97.50. The stocked appeared to have been bought at first, but as the delta for those puts was -0.15--so the position would be exactly delta-neutral if the shares were sold against the short puts .

This would be a short-volatility play that is looking for the actual volatility of TWC to be less than the implied volatility of the options. (See our Education section)

TWC is down 0.5 percent to $97.28. It was above $99 on the first day of the year, just below the October highs above $100.

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